沪深股市股票收益长期记忆分析

Long-term Memory in Shanghai and Shenzhen Stock Market

股票价格是否表现为长期记忆是验证市场有效性以及进行资产定价的基础,通过对沪深A股收益是否存在长期记忆特性的假设检验和对表明长期记忆特征分数积分参数d的估计,发现上证综指收益的绝对值表现出较为明显的长期记忆特性;而深成指收益绝对值的分布却表现出一定的独立性。这个结论对证券市场监管人员、实际从业人员以及衍生市场的参与者都具有一定的参考价值。

This paper examines the presence of long memory in the stock earning of Shanghai A stock and Shenzhen A stock through model independent tests and semiparametric estimation of difference parameter d. Evidence suggests the stock earning of Shanghai A are long-term dependent, indicating that it is not efficient. However there is no detection of long-term dependent in the stock earning of Shenzhen A stock. The results of this study should be useful to regulators, practitioners and derivative market participants.